Extreme asset price movements appear to be more pronounced recently and have major consequences for an economy's financial stability and monetary policies. This paper investigates the extreme behaviour of equity market returns and quantifies the probabilities of these losses. Taking fourteen...

If you put two mounds of sugar with identical conditions near an ants' nest, which one will the ants congregate at? Kirman explained the process of ant social herding using a simple model, and he conducted an interesting simulation. The fat tail distribution in the security market is well known,...

We utilize the mixed exponential power asymmetric GARCH model where each component exhibits asymmetric conditional heteroskedasticity to model Shanghai Stock Exchange Composite Index daily returns. Thanks to extra component-specific shape parameters, it can better capture the tail behavior and...